Well installing it "along side" the windows firewall would almost certainly cause a nightmare, assuming you actually mean disabling the windows firewall and using zone alarm instead....
The advantage of third party firewalls over the default configuration of the windows firewall is, third party firewalls are bidirectional (i.e. they stop/monitor connections into your computer and out from your computer.) whereas the windows firewall in it's default settings only deals with inbound connections (which is pretty pointless for most people as their router does a better job of blocking inbound connections)
The advantage of blocking outbound connections is that, in theory, if your computer was to get infected by something then whatever infected it wouldn't be able to send any information out to anyone... In practice what normally happens is people see a warning from the firewall stating "xxxx.exe requires access to the internet, do you want to block or allow it?" and they just click allow which totally negates any benefit of having an outbound firewall.
In short... if you've got good antivirus and don't browse risky sites or install pirated software then the windows firewall (or no firewall if your computer is behind a router) is good enough.... if you want the extra level of protection then it's only as good as the user clicking the Allow or Block prompts when they come up, if you just allow everything then you may as well not bother.
(personally, I don't bother and actually have the firewall turned off altogether when on trusted networks)